Lumpable Markov chains in risk management

DOI10.1007/S11590-010-0275-XMaRDI QIDQ691383zbMATH OpenOpenAlexFDO

Authors M. I. Loizides, Athanasios Yannacopoulos

Publication date 30 November 2012

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-010-0275-x

zbMATH Keywords

Markov chainsrisk managementlumpability

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Cites work

• scientific article; zbMATH DE number 3145626 (Why is no real title available?)
• scientific article; zbMATH DE number 1857642 (Why is no real title available?)
• Bounding the lumping error in Markov chain dynamics
• Lumpability and Commutativity of Markov Processes
• MONOTONIC SUPPORT VECTOR MACHINES FOR CREDIT RISK RATING

Cited in

(1)

• Markov chain lumpability and applications to credit risk modelling in compliance with the International Financial Reporting Standard 9 framework

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